Title of article
An empirical examination of the convexity bias in the pricing of interest rate swaps
Author/Authors
Anurag Gupta، نويسنده , , Marti G. Subrahmanyam، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2000
Pages
41
From page
239
To page
279
Keywords
Interest rate futures , Interest rate swaps , Term structure models , Forward rate agreements , convexity
Journal title
Journal of Financial Economics
Serial Year
2000
Journal title
Journal of Financial Economics
Record number
257411
Link To Document